JUNE 30, 1999
[LOGO] BT Mutual Funds
Cash Management Fund
Treasury Money Fund
NY Tax Free Money Fund
Tax Free Money Fund
Semi-Annual Report
TRUST: BT INVESTMENT FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
<PAGE>
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Investment Funds
Table of Contents
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Letter to Shareholders ................................................. 3
Investment Funds
Statements of Assets and Liabilities ............................... 7
Statements of Operations ........................................... 7
Statements of Changes in Net Assets ................................ 8
Financial Highlights ............................................... 9
Notes to Financial Statements ...................................... 11
Portfolios
Statements of Net Assets ........................................... 13
Statements of Operations ........................................... 29
Statements of Changes in Net Assets ................................ 30
Financial Highlights ............................................... 31
Notes to Financial Statements ...................................... 32
----------------
The Funds are not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Funds are subject to investment risks,
including possible loss of principal amount invested.
-----------------
2
<PAGE>
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Investment Funds
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the Investment
Funds, providing a detailed review of the markets, the Portfolios, and our
outlook. Included are a complete financial summary of the Funds' operations and
a listing of the Portfolios' holdings.
MARKET ACTIVITY
In many ways, the semi-annual period ended June 30, 1999 was an after-shock from
the global financial crisis that had dominated the money markets throughout
1998.
o As the financial markets began to settle down in the first quarter of 1999 and
foreign economies, such as Japan, stabilized and showed signs of recovery,
market participants shifted their focus to the strength in the U.S. economy.
Although the economic numbers continued to support the strong economy/low
inflation scenario, such indicators as robust job growth, low unemployment,
and healthy retail sales were perceived as negative for the markets.
o The economy in the second quarter remained very strong. The Federal Reserve
Board continued to monitor economic indicators but still did not act, though
on May 18th, it adopted a policy bias tilted towards higher interest rates.
Market expectations of Fed tightening, consumer optimism and spending, above
trend economic growth, and reduced concerns over international turmoil
combined to push yields on short-term money market securities significantly
higher.
o Over the semi-annual period, the money market yield curve steepened.
The only real relief to the pressures put on the money markets came in March,
as developments in Kosovo, Treasury paydowns and softer data supported the short
end of the market.
o Market participants exhibited steady demand for short-term U.S. securities as
the crisis in Kosovo continued to escalate.
o The budget surplus and expectations of strong April tax receipts also pushed
short-end yields lower.
o Strong performance from oil and other commodities kept market participants
from buying long-term securities, as inflation fears began to heighten.
As generally expected, at their June 30 meeting, the Federal Reserve Board voted
to raise the targeted federal funds rate by 0.25% to 5.00%, on concerns that a
strong economy would rekindle inflation.
o This action reversed the trend of monetary policy easing through a series of
cuts in the second half of 1998.
o While there is still little evidence of inflation, this monetary policy
tightening was intended to make sure the economy does not get derailed by a
spiral of rising wages and prices.
o The Federal Reserve Board changed its bias to neutral, which helped the U.S.
fixed income markets stage a small rally on the last day of June.
The municipal markets followed a similar trend as their taxable counterparts,
with yields rising as investors grew less concerned about international
developments, thereby slowing their flight to quality and moving into relatively
riskier investments.
o The yield on 1-year municipal notes rose 0.40%, to 3.50% on June 30, 1999 from
3.10% on January 1, 1999. This compares with one-year Treasury bills rising
0.53%, to 5.06% on June 30, 1999 from 4.53% on January 1, 1999.
o Demand for municipal securities was concentrated at the shorter end of the
yield curve, putting pressure on variable rate demand notes, as investors grew
concerned over possible Fed tightening during the second quarter. Investors
were also focused on liquidity and preparing for upcoming tax related outflows
during the first quarter.
o Supply, meanwhile, for the semi-annual period, was down approximately 20% over
the same period in 1998, with the economy continuing to be strong and tax
coffers full.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Annualized 7 Day Annualized 7 Day Annualized 7 Day
Period ended June 30, 1999 Current Yield Effective Yield Effective Taxable Equivalent
- ----------------------------------------------------------------------------------------------------------------------
Investment Cash Management Fund(1) 4.32% 4.41% N/A
IBC First Tier Money Funds Average 4.26% 4.36% N/A
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<S> <C> <C> <C>
Investment NY Tax Free Money Fund(1) 2.70% 2.74% 5.10%
IBC State Specific Money Funds Average 2.82% 2.85% N/A
- ----------------------------------------------------------------------------------------------------------------------
Investment Tax Free Money Fund(1) 2.73% 2.77% 4.52%
IBC Tax Free Money Funds Average 2.91% 2.95% N/A
- ----------------------------------------------------------------------------------------------------------------------
Investment Treasury Money Fund(1) 4.09% 4.17% N/A
IBC U.S. Treasury and Repo Money Funds Average 4.11% 4.19% N/A
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
3
<PAGE>
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Investment Funds
Letter to Shareholders
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Cash Management Fund
For most of the semi-annual period, we maintained a slightly long to the
benchmark weighted average maturity position, taking advantage of the steeper
yield curve and neutral Federal Reserve Board. Since the money markets had
already priced in at least one interest rate hike by the time the Fed actually
raised rates at the end of June, we were able to take advantage of the higher
rates and extend the portfolio at that time.
We also began to implement our strategy for year-end 1999 by taking advantage of
the steep yield curve caused by issuers extending their maturities into next
year to avoid potential Y2K problems.
Ratings
S&P: AAAm(2)
Moody's: AAA
Status at June 30, 1999
Seven day effective yield: 4.41%
Average maturity: 46 days
Net assets: $351.6 million
Diversification of Portfolio Investments
By Asset Type as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears
which depicts the following plot points.
Floating Rate Notes 16%
Commercial Paper 43%
Eurodollar
Certificates
of Deposit 11%
Funding Agreements 2%
Certificates of Deposit 1%
Yankee
Certificates of Deposit 11%
Eurodollar Time Deposits 16%
NY Tax Free Money Fund(3)
The "January Effect," a period when a large amount of cash flows into the
municipal money market from maturing securities and coupon payments, was less
pronounced this year than in prior years. In addition, this reinvestment
occurred in the latter half of January as opposed to the first week, which had
previously been the norm. During February, cash continued to pour into the
short-term municipal market. Cash flows returned to more normal levels and
yields backed up slightly during March, offering value in the 3 to 6 month
range.
The Fund's weighted average maturity was kept neutral to slightly short, usually
within the 35 to 45 day range, throughout the first quarter, as the Fed appeared
to be both on hold and concerned that the last easing in November 1998 may have
been overdone. We increased the Fund's commercial paper holdings, as these
securities offered attractive yields without having to extend the portfolio's
maturity.
As usual, going into April, we increased the Fund's daily demand note positions
to offset the cash out-flows traditionally associated with tax time. We
maintained the portfolio's relatively neutral maturity position until the latter
half of June, at which time we extended to the 50 to 55 day range. The slightly
long position was taken for two reasons. First, to benefit from the large
percentage of high quality municipal issues that usually becomes available at
the end of June and early July. This seasonal supply typically offers investors
attractively priced longer-term issues. Second, the growing concerns over Fed
tightening and the resultant higher yields at that time created an attractive
buying opportunity.
Diversification of Portfolio Investments
By Asset Type as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears
which depicts the following plot points.
G.O. Bonds 14%
Commercial Paper 25%
Tax Anticipation Notes 3%
Revenue Bonds 16%
Revenue Anticipation Notes 2%
Floating Rate Demand Notes 34%
Tax Revenue Anticipation Notes 6%
While supply was down dramatically overall from last year, note issuance, or the
lack thereof, was especially compelling in New York during this semi-annual
period. Supply in this state was even lower than in other parts of the nation.
Thus, one strategy we used to compensate for this phenomenon was to buy
longer-term bonds in the last year or so of their maturity. This strategy
enabled us to pick up attractive yields and often with better credits than would
otherwise be available.
Status at June 30, 1999
Seven day effective yield: 2.74%
Average maturity: 63 days
Net assets: $83.3 million
4
<PAGE>
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Investment Funds
Letter to Shareholders
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Tax Free Money Fund(4)
As with the NY Tax Free Money Fund, we started the semi-annual period with the
Fund's average maturity in a neutral to slightly short position, in this case in
the 38 to 48 day range, given the Federal Reserve Board being on hold. Going
into April, the Fund increased its daily demand note positions to offset par for
the course cash out-flows associated with tax time. The Fund's average maturity
was 41 days at the end of the first quarter.
We maintained the portfolio's relatively neutral maturity position until the
latter half of June, at which time we extended to the 50 to 63 day range. The
slightly long position was taken for two reasons. First, to benefit from the
large percentage of high quality municipal issues that usually becomes available
at the end of June and early July. Approximately 80-85% of municipalities begin
their fiscal year in July, and they come to market with their short-term
borrowing needs for the entire year at this one time. This dramatically
increases supply, enabling us to lock in higher yields chosen from a large
number of issues. Second, the growing concerns over Fed tightening and the
resultant higher yields at that time created an attractive buying opportunity.
Status at June 30, 1999
Seven day effective yield: 2.77%
Average maturity: 55 days
Net assets: $124 million
Diversification of Portfolio Investments
By Asset Type as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears
which depicts the following plot points.
Commercial Paper 9%
G.O. Bonds 12%
Revenue Bonds 25%
Revenue Anticipation Notes 4%
Floating Rate Demand Notes 50%
Purchasing paper from high tax states was another effective strategy we used
during this semi-annual period. For example, we were able to buy Los Angeles
County, California Tax & Revenue Anticipation Notes that were priced quite
attractively. Being able to buy California securities at general market levels
was a rare opportunity for the Fund, and we intend to sell these issues when
demand for California paper picks up.
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Treasury Money Fund
We maintained a neutral to the benchmark weighted average maturity position for
most of the semi-annual period, as the Federal Reserve Board remained neutral.
As the yield curve steepened, we began to implement our Y2K strategy, i.e. a
barbell strategy through the purchase of longer-dated Treasury securities that
not only enable us to take advantage of the higher yields but also to begin
accumulating securities maturing early next year. Our Y2K strategy was further
implemented to ensure that repurchase agreements would be available to the Fund
at year end, avoiding any liquidity issues that may arise.
Ratings
S&P: AAAm(2)
Moody's: AAA
Status at June 30, 1999
Seven day effective yield: 4.17%
Average maturity: 38 days
Net assets: $542.2 million
Diversification of Portfolio Investments
By Asset Type as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears
which depicts the following plot points.
Repurchase Agreements 77%
U.S. Treasury Notes 23%
5
<PAGE>
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Investment Funds
Letter to Shareholders
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MANAGER OUTLOOK
Looking ahead for the near term, the U.S. economy looks very healthy indeed.
However, while inflation appears to remain dormant, we should recognize that
there have been numerous indicators released that are frequently considered
harbingers of future inflation. For example:
o unemployment remains at a thirty-year low
o economic growth has been inordinately robust in historical terms
o oil prices are rebounding, and
o troubled Pacific Rim and other emerging market economies appear to have
recovered from recent turmoil.
The Federal Reserve Board itself has suggested that its outlook on interest
rates has changed from a bias toward higher rates to neutral. Of course, given
the tight labor market and this other economic and price data, the policy makers
also said they must "be especially alert." Thus, we, as many analysts do,
believe that there may be further interest rate increases on the horizon.
Clearly, the degree of tightening and the timing of the Federal Reserve Board's
next moves, if any, will be key to U.S. money market performance during the
second half of 1999, however supply and demand factors will likely be even more
significant.
For example, we believe issuance of short-term paper may be quite light in the
latter part of December and early January. Thus, we intend to continue to
implement a barbell strategy within the Cash Management Fund by purchasing fixed
and floating rate securities maturing in the first quarter of 2000 as
opportunities present themselves.
The short-term U.S. Treasury market and thus the Treasury Money Fund continue to
be impacted by the decreasing need for permanent financing of government debt.
The U.S. Treasury has opted to reduce longer-term financing, and when temporary
cash needs arise around tax dates, to issue large cash management bills. These
changes are significant to the technical condition, or supply, of the amount of
collateral available to the repurchase agreement market. Thus, we intend to
actively trade the Treasury Money Fund portfolio to take advantage of market
changes caused by this abnormal issuance.
Similarly, given the 90 day maximum horizon of the municipal funds, supply and
demand factors are far more important to the NY Tax Free and Tax Free Money
Funds than are any Federal Reserve Board actions in the future. In the near
term, we may allow the average maturities of these two Funds to roll down to a
neutral position.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
/s/ Darlene M. Rasel
----------------------------
Darlene M. Rasel
Portfolio Manager of the Cash Management Portfolio
and the Treasury Money Portfolio
June 30, 1999
/s/ Susan Fare
----------------------------
Susan Fare
Portfolio Manager of the Tax Free Money Portfolio
and the NY Tax Free Money Portfolio
June 30, 1999
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(1) Past performance is not indicative of future results. Yields will vary.
Yield quotes for money market funds most closely reflect the fund's current
earnings. Although money market funds seek to maintain a share value of
$1.00, there is no guarantee that they will be able to do so. Mutual funds
are not bank deposits or obligations of any bank, are not guaranteed by any
bank, and are not insured or guaranteed by the U.S. government, the Federal
Deposit Insurance Corporation, the Federal Reserve Board or any other
government agency. Investment in mutual funds involves investment risk,
including possible loss of principal.
(2) S&P evaluates a number of factors, including credit quality, market price
exposure, and management. Aaa ratings by Moody's are judged to be of an
investment quality similar to Aaa-rated fixed income obligations. Ratings
are subject to change and do not remove market risks.
(3) Income may be subject to the federal alternative minimum tax.
(4) Income may be subject to the federal alternative minimum tax and state and
local taxes.
6
<PAGE>
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Investment Funds
Statements of Assets and Liabilities June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Assets
Investment in Portfolio, at Value(1) ............ $ 353,050,795 $ 83,583,792 $ 125,094,375 $ 543,929,742
Prepaid Expenses ................................ 15,942 3,392 17,105 27,343
------------- ------------- ------------- -------------
Total Assets ....................................... 353,066,737 83,587,184 125,111,480 543,957,085
------------- ------------- ------------- -------------
Liabilities
Dividends Payable ............................... 1,253,291 184,905 289,987 1,506,025
Due to Bankers Trust ............................ 148,808 43,416 39,471 203,937
Accrued Expenses ................................ 56,405 20,869 24,037 81,627
------------- ------------- ------------- -------------
Total Liabilities .................................. 1,458,504 249,190 353,495 1,791,589
------------- ------------- ------------- -------------
Net Assets ......................................... $ 351,608,233 $ 83,337,994 $ 124,757,985 $ 542,165,496
============= ============= ============= =============
Shares Outstanding ($0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest
Authorized) ..................................... 351,668,928 83,371,501 124,814,775 542,044,392
============= ============= ============= =============
Net Asset Value, Offering and Redemption Price
Per Share
(net assets divided by shares outstanding) ...... $ 1.00 $ 1.00 $ 1.00 $ 1.00
============= ============= ============= =============
Composition of Net Assets
Paid-in Capital ................................. $ 351,668,947 $ 83,371,501 $ 124,814,775 $ 542,044,392
Undistributed Net Investment Income ............. (19) -- -- --
Accumulated Net Realized Gain (Loss) from
Investment Transactions ....................... (60,695) (33,507) (56,790) 121,104
------------- ------------- ------------- -------------
Net Assets, June 30, 1999 .......................... $ 351,608,233 $ 83,337,994 $ 124,757,985 $ 542,165,496
============= ============= ============= =============
</TABLE>
- --------------------------------------------------------------------------------
Statements of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income
Income, net(1) ........................ $ 7,016,281 $ 1,226,869 $ 2,258,119 $ 8,710,426
----------- ----------- ----------- -----------
Expenses
Administration and Services Fees ...... 803,535 239,868 416,834 1,041,060
Registration Fees ..................... 55,482 7,881 5,351 53,545
Printing and Shareholder Report ....... 7,556 4,594 4,535 9,844
Professional Fees ..................... 6,666 6,806 6,716 6,806
Trustees Fees ......................... 2,080 2,127 2,092 2,128
Miscellaneous ......................... 2,764 2,257 344 2,910
----------- ----------- ----------- -----------
Total Expenses ........................ 878,083 263,533 435,872 1,116,293
Less: Fees Waived by Bankers Trust .... (45,328) (23,490) (19,061) (75,234)
----------- ----------- ----------- -----------
Net Expenses ....................... 832,755 240,043 416,811 1,041,059
----------- ----------- ----------- -----------
Net Investment Income .................... 6,183,526 986,826 1,841,308 7,669,367
Net Realized Gain (Loss) from
Investment Transactions ............... 12,491 -- (4,748) 2,645
----------- ----------- ----------- -----------
Net Increase in Net Assets from Operations $ 6,196,017 $ 986,826 $ 1,836,560 $ 7,672,012
=========== =========== =========== ===========
</TABLE>
- ------------
(1) Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
See Notes to Financial Statements.
7
<PAGE>
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Investment Funds
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
------------------------------------ -------------------------------
For the six For the For the six For the
months ended year ended months ended year ended
June 30, 1999(1) Dec. 31, 1998 June 30, 1999(1) Dec. 31, 1998
---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ................... $ 6,183,526 $ 7,708,912 $ 986,826 $ 2,249,800
Net Realized Gain (Loss) from Investment
Transactions .......................... 12,491 8,980 -- (472)
--------------- --------------- ------------- ------------
Net Increase in Net Assets from Operations . 6,196,017 7,717,892 986,826 2,249,328
--------------- --------------- ------------- ------------
Distributions to Shareholders
Net Investment Income ................... (6,183,526) (7,708,912) (986,826) (2,249,800)
--------------- --------------- ------------- ------------
Capital Transactions in Shares of Beneficial
Interest (at Net Asset Value of
$1.00 per share)
Proceeds from Sales of Shares ........... 1,279,478,971 2,259,953,184 255,742,352 445,725,331
Dividend Reinvestments .................. 2,845,887 2,767,357 307,125 557,583
Cost of Shares Redeemed ................. (1,163,314,944) (2,168,567,087) (250,550,714) (453,807,595)
--------------- --------------- ------------- ------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial
Interest ................................. 119,009,914 94,153,454 5,498,763 (7,524,681)
--------------- --------------- ------------- ------------
Total Increase (Decrease) in Net Assets .... 119,022,405 94,162,434 5,498,763 (7,525,153)
Net Assets
Beginning of Period ........................ 232,585,828 138,423,394 77,839,230 85,364,383
--------------- --------------- ------------- ------------
End of Period .............................. $ 351,608,233 $ 232,585,828 $ 83,337,993 $ 77,839,230
=============== =============== ============= ============
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money Treasury Money
----------------------------------- ----------------------------------
For the six For the For the six For the
months ended year ended months ended year ended
June 30, 1999(1) Dec. 31, 1998 June 30, 1999(1) Dec. 31, 1998
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ........................ $ 1,841,308 $ 4,517,319 $ 7,669,367 $ 18,005,994
Net Realized Gain (Loss) from Investment
Transactions ............................... (4,748) 2,973 2,645 37,012
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from Operations ...... 1,836,560 4,520,292 7,672,012 18,043,006
--------------- --------------- --------------- ---------------
Distributions to Shareholders
Net Investment Income ........................ (1,835,536) (4,523,091) (7,669,367) (18,005,994)
--------------- --------------- --------------- ---------------
Capital Transactions in Shares of Beneficial
Interest (at Net Asset Value of
$1.00 per share)
Proceeds from Sales of Shares ................ 669,499,112 1,182,947,705 4,330,731,823 8,475,674,717
Dividend Reinvestments ....................... 285,551 837,311 4,090,881 12,551,757
Cost of Shares Redeemed ...................... (746,121,925) (1,133,170,578) (4,101,570,783) (8,447,626,166)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest .............. (76,337,262) 50,614,438 233,251,921 40,600,308
--------------- --------------- --------------- ---------------
Total Increase (Decrease) in Net Assets ......... (76,336,238) 50,611,639 233,254,566 40,637,320
Net Assets
Beginning of Period ............................. 201,094,223 150,482,584 308,910,930 268,273,610
--------------- --------------- --------------- ---------------
End of Period ................................... $ 124,757,985 $ 201,094,223 $ 542,165,496 $ 308,910,930
=============== =============== =============== ===============
</TABLE>
- -------------
1 Unaudited.
See Notes to Financial Statements.
8
<PAGE>
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Investment Funds
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods presented for each of the Funds.
<TABLE>
<CAPTION>
Cash Management
For the ------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ------------------------------------------------------------
1999(3) 1998 1997 1996 1995 1994
------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from Investment Operations
Net Investment Income ....................... 0.02 0.05 0.05 0.05 0.05 0.04
Net Realized Gain (Loss)
from Investment Transactions ............. 0.00(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1) (0.01)
-------- -------- -------- -------- -------- --------
Total from Investment Operations ............... 0.02 0.05 0.05 0.05 0.05 0.03
-------- -------- -------- -------- -------- --------
Contributions of Capital ....................... -- -- -- 0.00(1) -- 0.01
-------- -------- -------- -------- -------- --------
Distributions to Shareholders
Net Investment Income ....................... (0.02) (0.05) (0.05) (0.05) (0.05) (0.04)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Investment Return ........................ 2.13% 4.93% 4.98% 4.82%(2) 5.35% 3.67%(2)
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $351,608 $232,586 $138,423 $118,969 $135,998 $159,172
Ratios to Average Net Assets:
Net Investment Income .................... 4.24%(4) 4.80% 4.88% 4.72% 5.22% 3.70%
Expenses, Including Expenses
of the Cash Management Portfolio ...... 0.75%(4) 0.75% 0.75% 0.75% 0.74% 0.73%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed and/or
Fees Waived by Bankers Trust ........... 0.05%(4) 0.06% 0.03% 0.03% 0.02% 0.08%
<CAPTION>
NY Tax Free Money
For the ------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ------------------------------------------------------------
1999(3) 1998 1997 1996 1995 1994
------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------
Income from Investment Operations
Net Investment Income ....................... 0.01 0.03 0.03 0.03 0.03 0.02
Net Realized Loss
from Investment Transactions ............. (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1)
------- ------- ------- ------- ------- ------
Total from Investment Operations ............... 0.01 0.03 0.03 0.03 0.03 0.02
------- ------- ------- ------- ------- ------
Distributions to Shareholders
Net Investment Income ....................... (0.01) (0.03) (0.03) (0.03) (0.03) (0.02)
------- ------- ------- ------- ------- ------
Net Asset Value, End of Period ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======
Total Investment Return ........................ 1.12% 2.66% 2.86% 2.68% 3.12% 2.11%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $83,338 $77,839 $85,364 $75,858 $70,765 $79,101
Ratios to Average Net Assets:
Net Investment Income .................... 2.25%(4) 2.63% 2.83% 2.64% 3.07% 2.05%
Expenses, Including Expenses
of the NY Tax Free Money Portfolio .... 0.75%(4) 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed and/or
Fees Waived by Bankers Trust ........... 0.08%(4) 0.10% 0.06% 0.09% 0.07% 0.08%
</TABLE>
- ---------------
(1) Less than $0.01 per share.
(2) Increased by approximately 0.08% and 0.96% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
(3) Unaudited.
(4) Annualized.
See Notes to Financial Statements.
9
<PAGE>
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Investment Funds
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Tax Free Money
For the ------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ------------------------------------------------------------
1999(2) 1998 1997 1996 1995 1994
------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- -------
Income from Investment Operations
Net Investment Income ....................... 0.01 0.03 0.03 0.03 0.03 0.02
Net Realized Gain (Loss)
from Investment Transactions ............. 0.00(1) 0.00(1) (0.00){1} (0.00)(1) (0.00)(1) 0.00(1)
-------- -------- -------- -------- -------- --------
Total from Investment Operations ............... 0.01 0.03 0.03 0.03 0.03 0.02
-------- -------- -------- -------- -------- --------
Distributions to Shareholders
Net Investment Income ....................... (0.01) (0.03) (0.03) (0.03) (0.03) (0.02)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Investment Return 1.19% 2.75% 2.94% 2.84% 3.34% 2.27%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $124,758 $201,094 $150,483 $117,972 $119,393 $110,043
Ratios to Average Net Assets:
Net Investment Income .................... 2.39%(3) 2.71% 2.90% 2.80% 3.28% 2.21%
Expenses, Including Expenses
of the Tax Free Money Portfolio ........ 0.75%(3) 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed and/or
Fees Waived by Bankers Trust ........... 0.04%(3) 0.08% 0.05% 0.07% 0.07% 0.08%
<CAPTION>
Treasury Money
For the ------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ------------------------------------------------------------
1999(2) 1998 1997 1996 1995 1994
------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ------- -------- --------
Income from Investment Operations
Net Investment Income ....................... 0.02 0.05 0.05 0.05 0.05 0.03
Net Realized Gain (Loss)
from Investment Transactions ............. 0.00(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1) (0.00)(1)
-------- -------- -------- -------- -------- --------
Total from Investment Operations ............... 0.02 0.05 0.05 0.05 0.05 0.03
-------- -------- -------- -------- -------- --------
Distributions to Shareholders
Net Investment Income ....................... (0.02) (0.05) (0.05) (0.05) (0.05) (0.03)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Investment Return ........................ 2.03% 4.76% 4.86% 4.71% 5.19% 3.40%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $542,165 $308,911 $268,274 $554,716 $615,084 $696,915
Ratios to Average Net Assets:
Net Investment Income .................... 4.06%(3) 4.66% 4.74% 4.61% 5.06% 3.36%
Expenses, Including Expenses of the
Treasury Money Portfolio ............... 0.75%(3) 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed and/or
Fees Waived by Bankers Trust .......... 0.04%(3) 0.02% 0.02% 0.01% 0.02% 0.02%
</TABLE>
- -------------
(1) Less than $0.01 per share.
(2) Unaudited.
(3) Annualized.
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1 -- Organization and Significant Accounting Policies
A. Organization
Investment Funds (the "Trust") is registered under the Investment Company Act of
1940 (the "Act"), as amended, as an open-end management investment company. The
Trust was organized on July 21, 1986, as a business trust under the laws of the
Commonwealth of Massachusetts. The Cash Management Fund, NY Tax Free Money Fund,
Tax Free Money Fund and Treasury Money Fund (each a "Fund", and collectively,
the "Funds") are offered to investors by the Trust. The Funds began operations,
began offering shares of beneficial interest and invested directly in securities
on the following dates:
Commencement
of Operations
and Beneficial
Fund Shares Offering
- ----- -----------------
Cash Management October 5, 1988
NY Tax Free Money September 27, 1988
Tax Free Money June 10, 1987
Treasury Money November 1, 1988
Subsequent to the direct investment in securities date, the Funds began
investing substantially all of their investable assets in the following
respective Portfolios: Cash Management Fund in the Cash Management Portfolio, NY
Tax Free Money Fund in the NY Tax Free Money Portfolio, Tax Free Money Fund in
the Tax Free Money Portfolio, and Treasury Money Fund in the Treasury Money
Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The
Portfolios are open-end management investment companies registered under the
Act. The Funds seek to achieve their investment objectives by investing all of
their investable assets in the respective Portfolios. The value of such
investment in the Portfolios reflects each Fund's proportionate interest in the
net assets of the respective Portfolio. At June 30, 1999, Cash Management Fund's
investment was approximately 5% of the Portfolio, NY Tax Free Money Fund's and
Tax Free Money Fund's investments were approximately 100% of their respective
Portfolios, and Treasury Money Fund's investment was approximately 22% of the
Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Valuation
Valuation of securities by the Portfolios is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in the
report.
C. Investment Income
Each of the Funds earns income, net of expenses, daily on its investment in the
respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
D. Distributions
It is each Fund's policy to declare dividends daily and pay them monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by each Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by each Fund will be made
annually to the extent they exceed capital loss carryforwards.
E. Federal Income Taxes
It is each Fund's policy to continue to comply with the requirements of the
Internal Revenue Code and distribute its income to shareholders. Therefore, no
federal income tax provision is required.
F. Other
The Trust accounts separately for the assets, liabilities and operations of each
of the Funds. Expenses directly attributable to each Fund are charged to that
Fund, while expenses which are attributable to all of the Trust's funds are
allocated among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect reported amounts in the financial statements. Actual results could differ
from those estimates.
Note 2 -- Fees and Transactions with Affiliates
Each Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Funds in return for a fee computed daily and
paid monthly at an annual rate of each Fund's average daily net assets. The
following provide a table of annual rates for each of the Funds for the six
months ended June 30, 1999.
Fund Annual Rate
- ---- -----------
Cash Management .55%
NY Tax Free Money .55%
Tax Free Money .55%
Treasury Money .55%
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Funds.
11
<PAGE>
- --------------------------------------------------------------------------------
Investment Funds
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Fund, to the extent necessary, to limit all expenses as a
percentage of each Fund's average daily net assets. At June 30, 1999, the annual
rates for the six months ended for the respective Funds were as follows:
Fund Annual Rate(1) Annual Rate(2)
- ---- -------------- --------------
Cash Management .57% .75%
NY Tax Free Money .55% .75%
Tax Free Money .55% .75%
Treasury Money .55% .75%
- ----------------
(1) Excluding Expenses of the Portfolio.
(2) Including Expenses of the Portfolio.
The Portfolios, in which the Funds invest in, are participants with other
affiliated entities in a revolving credit facility in the amount of
$100,000,000, which expires April 29, 2000. A commitment fee of .10% per annum
on the average daily amount of the available commitment is payable on a
quarterly basis and apportioned equally among all participants. Amounts borrowed
under the credit facility will bear interest at a rate per annum equal to the
Federal Funds Rate plus .50%. No amounts were drawn down or outstanding under
the credit facility as of and for the six months ended June 30, 1999.
In 1994, the Cash Management Portfolio sold certain structured notes carried at
par to an unrelated third party financial institution at par plus accrued
interest pursuant to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Cash Management Fund's Financial Highlights for
the year ended December 31, 1994 reflects its pro rata share of the Portfolio's
realized loss on the sale of these securities and a capital contribution in the
amount of $1,299,990. In 1996, Bankers Trust contributed capital in the amount
of $110,287 to reimburse the Cash Management Fund for capital losses incurred in
prior years.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3 -- Capital Loss Carryforwards
At June 30, 1999, capital loss carryforwards available as a reduction against
future net realized capital gains aggregate as follows:
Capital Loss Carryforward
Net Realized Expiration Year
Capital Loss -----------------------------------------------
Fund Carryforward 2000 2001 2002 2003 2004 2005 2006
- ----- ------------- ---- ---- ---- ---- ---- ---- ----
Cash Management $73,205 -- -- $71,904 -- -- $1,301 --
NY Tax Free Money $19,862 $10,340 $739 $ 2,075 $ 1,746 $2,716 $1,774 $472
Tax Free Money $49,175 -- -- $ 9,923 $25,044 $8,495 $5,713 --
12
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
EURODOLLAR CERTIFICATES OF
DEPOSIT - 10.9%
Abbey National PLC:
$50,000,000 4.92%, 7/15/99 .............................. $50,000,000
25,000,000 4.93%, 10/26/99 ............................. 25,000,000
22,000,000 5.44%, 3/13/00 .............................. 22,000,000
ABN Amro,
25,000,000 4.95%, 10/12/99 ............................. 25,000,224
Bank of Austria,
12,000,000 4.88%, 7/22/99 .............................. 12,000,042
Bank of Scotland:
20,000,000 4.93%, 8/03/99 .............................. 19,999,086
30,000,000 4.95%, 8/25/99 .............................. 30,000,000
Barclays Bank PLC,
35,000,000 4.875%, 8/16/99 ............................. 35,000,221
Cariplo,
50,000,000 4.89%, 7/12/99 .............................. 50,000,000
Commerzbank,
10,000,000 5.21%, 2/18/00 .............................. 9,984,609
Credit Agricole,
20,000,000 4.95%, 10/12/99 ............................. 20,000,558
Dresdner Bank,
25,000,000 4.96%, 9/30/99 .............................. 25,000,940
Internationale Nederlanden
U.S. Funding Corp.:
30,000,000 5.219%, 7/30/99 ............................. 30,000,000
20,000,000 4.94%, 8/16/99 .............................. 19,999,649
25,000,000 4.965%, 8/23/99 ............................. 25,000,359
35,000,000 4.975%, 9/17/99 ............................. 35,000,689
35,000,000 4.975%, 9/22/99 ............................. 34,999,444
20,000,000 4.975%, 11/10/99 ............................ 20,001,073
20,000,000 5.155%, 2/22/00 ............................. 19,955,245
Morgan Guaranty,
65,000,000 4.95%, 11/10/99 ............................. 64,997,517
National Australia Bank,
20,000,000 4.96%, 11/12/99 ............................. 20,000,000
Norddeutsche Landesbank,
25,000,000 5.01%, 9/08/99 .............................. 25,000,473
Paribas SA,
35,000,000 4.90%, 8/11/99 .............................. 34,995,324
Principal
Amount Description Value
------ ----------- -----
Rabobank Nederland, N.V.,
$20,000,000 4.87%, 7/26/99 .............................. $20,000,135
Westdeutsche Landesbank:
45,000,000 4.895%, 7/08/99 ............................. 45,000,000
8,000,000 4.88%, 7/26/99 .............................. 8,000,048
37,000,000 4.885%, 8/16/99 ............................. 37,000,000
12,000,000 4.96%, 8/25/99 .............................. 12,000,000
-----------
Total Eurodollar Certificates of Deposit
(Amortized Cost $775,935,636) ............................ 775,935,636
-----------
YANKEE CERTIFICATES
OF DEPOSIT - 10.5%
Bank of Austria,
15,000,000 5.68%, 8/03/99 .............................. 15,007,915
Banque Nationale de Paris:
6,000,000 4.87%, 7/02/99 .............................. 5,999,997
75,000,000 4.88%, 7/02/99 .............................. 74,999,990
Barclays Bank PLC,
75,000,000 4.875%, 7/06/99 ............................. 75,000,052
Bayerische Hypotheka
Vereinsbank:
25,000,000 4.91%, 7/08/99 .............................. 25,000,000
12,000,000 5.15%, 4/20/00 .............................. 11,999,313
Bayerische Landesbank,
91,900,000 4.88%, 7/26/99 .............................. 91,895,584
Commerzbank:
25,000,000 5.15%, 9/17/99 .............................. 25,008,053
5,000,000 5.01%, 1/10/00 .............................. 4,988,355
20,000,000 4.99%, 2/02/00 .............................. 19,976,825
20,000,000 5.16%, 2/25/00 .............................. 19,994,955
25,000,000 5.20%, 3/15/00 .............................. 24,998,170
20,000,000 5.185%, 3/30/00 ............................. 19,992,800
Credit Agricole,
20,000,000 5.285%, 3/01/00 ............................. 20,010,589
Credit Commercial de France,
25,000,000 4.85%, 7/12/99 .............................. 25,000,000
Landesbank Hessen Thuringen,
3,000,000 5.215%, 2/29/00 ............................. 2,999,120
Lloyds Bank PLC,
38,000,000 4.94%, 7/12/99 .............................. 38,000,000
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Norddeutsche Landesbank:
$ 8,000,000 5.66%, 7/27/99 .............................. $ 8,003,180
10,000,000 5.35%, 5/24/00 .............................. 9,994,821
Paribas SA:
22,000,000 4.91%, 7/08/99 .............................. 22,000,000
25,000,000 4.95%, 8/24/99 .............................. 25,000,000
Rabobank Nederland, N.V.:
20,000,000 5.02%, 1/12/00 .............................. 19,952,177
14,000,000 5.14%, 3/20/00 .............................. 13,975,107
Royal Bank of Canada:
13,000,000 5.035%, 2/08/00 ............................. 12,963,073
15,000,000 5.235%, 3/09/00 ............................. 14,999,338
5,000,000 5.70%, 7/03/00 .............................. 4,997,586
Toronto Dominion Bank:
20,000,000 5.10%, 2/22/00 .............................. 19,994,393
25,000,000 5.14%, 4/26/00 .............................. 24,988,128
Union Bank of Switzerland,
15,000,000 5.155%, 2/25/00 ............................. 14,996,216
Westdeutsche Landesbank,
60,000,000 4.87%, 7/06/99 .............................. 60,000,000
-----------
Total Yankee Certificates of Deposit
(Amortized Cost $752,735,737) ............................ 752,735,737
-----------
CERTIFICATES
OF DEPOSIT - 0.9%
First Chicago,
18,000,000 4.87%, 7/08/99 .............................. 17,999,836
First Union Corp.,
25,000,000 4.93%, 10/20/99 ............................. 25,000,000
NationsBank,
7,000,000 4.99%, 1/11/00 .............................. 6,982,804
Wachovia Bank,
10,000,000 4.90%, 1/10/00 .............................. 9,993,056
-----------
Total Certificates of Deposit
(Amortized Cost $59,975,696) ............................. 59,975,696
-----------
EURODOLLAR TIME
DEPOSITS - 15.7%
ABN Amro:
25,000,000 5.10%, 7/14/99 .............................. 25,000,000
50,000,000 4.98%, 11/12/99 ............................. 50,000,000
Principal
Amount Description Value
------ ----------- -----
Banque Bruxelles Lambert:
$35,000,000 5.00%, 10/06/99 ............................. $35,000,000
25,000,000 4.98%, 11/10/99 ............................. 25,000,000
Bayerische Landesbank:
25,000,000 4.96%, 10/12/99 ............................. 25,000,000
40,000,000 4.95%, 10/29/99 ............................. 40,000,000
Commerzbank,
50,000,000 4.92%, 7/08/99 .............................. 50,000,000
Den Danske Bank,
40,000,000 4.955%, 8/27/99 ............................. 40,000,000
National Australia,
200,000,000 5.75%, 7/01/99 .............................. 200,000,000
National City Cleveland,
349,448,130 4.875%, 7/01/99 ............................. 349,448,130
National Westminster,
75,000,000 5.15%, 9/23/99 .............................. 75,000,000
Norddeutsche Landesbank,
25,000,000 4.938%, 9/30/99 ............................. 25,000,000
Toronto Dominion Bank,
50,000,000 5.75%, 7/01/99 .............................. 50,000,000
Westdeutsche Landesbank:
100,000,000 5.875%, 7/01/99 ............................. 100,000,000
35,000,000 4.93%, 7/22/99 .............................. 35,000,000
-------------
Total Eurodollar Time Deposits
(Amortized Cost $1,124,448,130) .......................... 1,124,448,130
-------------
FLOATING RATE
NOTES - 16.2%
American Express Centurion Bank:
Monthly Variable Rate,
30,000,000 4.994%, 2/14/00 ............................. 30,010,665
20,000,000 4.948%, 3/15/00 ............................. 20,000,000
25,000,000 4.903%, 4/03/00 ............................. 25,000,267
Asset Securitization:
Quarterly Variable Rate,
40,000,000 5.06%, 3/06/00 .............................. 40,000,000
30,000,000 5.095%, 3/10/00 ............................. 29,997,948
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Bank of America:
Monthly Variable Rate,
$15,000,000 4.985%, 8/18/99 ............................. $14,999,632
10,000,000 5.05%, 4/18/00 .............................. 10,006,319
Bank of Austria:
Monthly Variable Rate,
50,000,000 4.888%, 3/15/00 ............................. 49,975,592
Quarterly Variable Rate,
25,000,000 4.855%, 7/27/99 ............................. 24,998,951
Bank of Scotland:
Monthly Variable Rate,
25,000,000 4.898%, 3/15/00 ............................. 24,989,559
25,000,000 4.811%, 5/10/00 ............................. 24,985,190
Banque Nationale de Paris:
Monthly Variable Rate,
40,000,000 4.688%, 7/29/99 ............................. 39,998,182
Bayerische Hypotheka Vereinsbank:
Monthly Variable Rate,
100,000,000 4.869%, 4/13/00 ............................. 99,945,109
25,000,000 4.908%, 4/25/00 ............................. 24,989,925
25,000,000 4.898%, 5/15/00 ............................. 24,984,830
10,000,000 4.908%, 5/15/00 ............................. 9,994,394
Bayerische Landesbank:
Monthly Variable Rate,
100,000,000 4.843%, 4/10/00 ............................. 99,945,831
Chase Manhattan Bank:
Quarterly Variable Rate,
10,000,000 5.00%, 1/12/00 .............................. 10,002,893
6,000,000 5.243%, 2/28/00 ............................. 6,008,965
15,000,000 5.20%, 4/20/00 .............................. 15,028,864
Corporate Receivables Corp.:
Quarterly Variable Rate,
30,000,000 5.003%, 2/16/00 ............................. 30,000,000
Credit Agricole:
Monthly Variable Rate,
30,000,000 4.90%, 3/16/00 .............................. 29,985,298
First Union Corp.:
Quarterly Variable Rate,
10,000,000 5.02%, 10/20/99 ............................. 10,000,000
Principal
Amount Description Value
------ ----------- -----
General Electric Capital Corp.:
Quarterly Variable Rate,
20,000,000 5.058%, 9/08/99 ............................. $20,000,000
50,000,000 4.95%, 4/12/00 .............................. 50,000,000
35,000,000 4.95%, 5/12/00 .............................. 35,000,000
General Motors Acceptance Corp.:
Quarterly Variable Rate,
7,500,000 5.018%, 2/24/00 ............................. 7,499,991
20,000,000 5.018%, 2/25/00 ............................. 20,001,307
J.P. Morgan Securities Inc.:
Daily Variable Rate,
20,000,000 5.016%, 3/02/00 ............................. 20,000,768
Quarterly Variable Rate,
14,000,000 4.999%, 2/23/00 ............................. 13,999,496
7,820,000 4.95%, 4/06/00 .............................. 7,819,994
35,000,000 5.13%, 6/23/00 .............................. 35,000,000
Key Bank:
Monthly Variable Rate,
25,000,000 5.033%, 6/26/00 ............................. 24,985,420
National Westminster:
Quarterly Variable Rate,
25,000,000 4.87%, 8/20/99 .............................. 24,997,311
NationsBank:
Daily Variable Rate,
25,000,000 5.05%, 2/04/00 .............................. 24,993,577
National Rural Utility Corp.:
Quarterly Variable Rate,
20,000,000 5.006%, 11/23/99 ............................ 20,000,000
12,000,000 5.178%, 6/26/00 ............................. 11,998,820
Norwest Corp.:
Quarterly Variable Rate,
30,000,000 5.016%, 10/28/99 ............................ 29,999,017
PNC Bank:
Monthly Variable Rate,
25,000,000 5.098%, 1/31/00 ............................. 24,994,213
Societe Generale:
Monthly Variable Rate,
35,000,000 4.913%, 5/15/00 ............................. 34,981,747
25,000,000 4.913%, 5/15/00 ............................. 24,990,428
Wells Fargo Bank:
Quarterly Variable Rate,
23,000,000 5.208%, 4/26/00 ............................. 22,985,454
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Westpac Capital Corp.:
Quarterly Variable Rate,
$10,000,000 4.816%, 4/17/00 ............................. $ 9,995,243
-----------
Total Floating Rate Notes
(Amortized Cost $1,160,091,200) .......................... 1,160,091,200
-----------
COMMERCIAL PAPER - 43.3%
Abbey National PLC,
15,000,000 4.82%, 7/08/99 .............................. 14,985,942
AlliedSignal,
15,000,000 5.30%, 2/01/00 .............................. 14,525,208
American General Finance,
15,000,000 4.83%, 7/26/99 .............................. 14,949,687
American Home Products,
15,000,000 4.85%, 7/19/99 .............................. 14,963,625
Asset Securitization:
38,000,000 4.94%, 7/12/99 .............................. 37,942,641
20,000,000 5.05%, 8/16/99 .............................. 19,870,944
18,000,000 5.25%, 8/31/99 .............................. 17,839,875
Associates Corp.,
20,000,000 4.86%, 7/27/99 .............................. 19,929,800
AT&T Corp.:
35,000,000 4.82%, 7/16/99 .............................. 34,929,708
15,000,000 4.79%, 7/27/99 .............................. 14,948,108
Bank of America:
15,000,000 4.82%, 8/16/99 .............................. 14,907,617
10,000,000 4.84%, 11/17/99 ............................. 9,813,122
BBL North America:
18,000,000 4.84%, 7/09/99 .............................. 17,980,640
28,000,000 4.83%, 7/12/99 .............................. 27,958,677
Bellsouth Telecommunications,
45,000,000 4.85%, 7/12/99 .............................. 44,933,312
BP America,
100,000,000 5.80%, 7/01/99 .............................. 100,000,000
British Telecom,
6,500,000 4.91%, 7/21/99 .............................. 6,482,269
BTR Dunlop Finance,
22,476,000 5.04%, 7/15/99 .............................. 22,431,947
Principal
Amount Description Value
------ ----------- -----
Caterpillar Finance,
$27,000,000 5.30%, 7/14/99 .............................. $26,948,325
Chase Manhattan Bank,
22,000,000 4.83%, 9/08/99 .............................. 21,796,335
Coca Cola Co.,
15,000,000 5.27%, 1/20/00 .............................. 14,554,246
Corporate Assets Funding
Co., Inc.:
60,000,000 4.82%, 7/15/99 .............................. 59,887,533
30,000,000 4.82%, 7/21/99 .............................. 29,919,667
70,000,000 5.05%, 8/16/99 .............................. 69,537,444
30,000,000 4.90%, 8/23/99 .............................. 29,783,583
Corporate Receivables Corp.:
80,000,000 4.82%, 7/15/99 .............................. 79,847,944
27,000,000 5.05%, 8/12/99 .............................. 26,840,925
30,000,000 5.05%, 8/13/99 .............................. 29,819,042
52,000,000 4.88%, 8/16/99 .............................. 51,658,578
25,000,000 5.24%, 8/17/99 .............................. 24,828,972
Credit Suisse First Boston,
30,000,000 4.82%, 8/06/99 .............................. 29,855,400
Cregem:
15,000,000 4.80%, 7/13/99 .............................. 14,976,000
50,000,000 4.83%, 7/30/99 .............................. 49,805,458
32,000,000 4.84%, 9/10/99 .............................. 31,694,542
DaimlerChrysler:
14,000,000 4.90%, 8/02/99 .............................. 13,939,022
Delaware Funding Corp.:
36,000,000 5.05%, 7/30/99 .............................. 35,853,550
30,000,000 4.93%, 8/05/99 .............................. 29,856,208
12,576,000 4.93%, 8/17/99 .............................. 12,495,056
Diageo Capital PLC:
30,000,000 4.85%, 7/06/99 .............................. 29,979,792
20,000,000 4.85%, 7/15/99 .............................. 19,962,278
15,000,000 4.81%, 8/16/99 .............................. 14,907,808
60,000,000 4.84%, 9/24/99 .............................. 59,315,278
DuPont de Nemours & Co.:
25,000,000 4.84%, 7/08/99 .............................. 24,976,472
30,000,000 4.87%, 7/19/99 .............................. 29,926,950
Emerson Electric,
25,000,000 5.27%, 1/31/00 .............................. 24,216,819
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Ford Motor Credit:
$50,000,000 5.65%, 7/01/99 .............................. $50,000,000
35,000,000 5.03%, 8/17/99 .............................. 34,770,157
General Electric Capital Corp.:
25,000,000 4.82%, 7/15/99 .............................. 24,953,139
15,000,000 4.89%, 7/22/99 .............................. 14,957,212
25,000,000 4.83%, 7/28/99 .............................. 24,909,437
18,000,000 4.78%, 8/02/99 .............................. 17,923,520
25,000,000 4.83%, 9/30/99 .............................. 24,694,771
23,000,000 5.20%, 2/02/00 .............................. 22,282,400
22,000,000 4.95%, 2/07/00 .............................. 21,331,475
General Electric Capital Corp.:
International Fund,
40,000,000 5.31%, 2/15/00 .............................. 38,648,900
Generale Fund:
13,163,000 4.88%, 7/14/99 .............................. 13,139,804
45,000,000 4.82%, 8/05/99 .............................. 44,789,125
15,000,000 5.23%, 9/13/99 .............................. 14,838,742
11,300,000 4.80%, 10/27/99 ............................. 11,122,213
General Motors Acceptance Corp.:
40,000,000 4.88%, 7/08/99 .............................. 39,962,044
23,000,000 4.97%, 7/16/99 .............................. 22,952,372
40,000,000 4.87%, 7/29/99 .............................. 39,848,489
12,000,000 4.87%, 8/04/99 .............................. 11,944,807
35,000,000 4.94%, 8/16/99 .............................. 34,779,072
15,000,000 5.22%, 1/31/00 .............................. 14,534,550
Gillette Co.,
15,000,000 5.70%, 7/01/99 .............................. 15,000,000
Glaxo Wellcome PLC:
25,300,000 4.80%, 7/29/99 .............................. 25,205,547
25,000,000 4.82%, 8/10/99 .............................. 24,866,111
Hydro-Quebec,
27,000,000 4.80%, 8/12/99 .............................. 26,848,800
Internationale Nederlanden
U.S. Funding Corp.,
25,000,000 4.84%, 7/06/99 .............................. 24,983,194
J.P. Morgan, Inc.:
45,000,000 4.82%, 7/06/99 .............................. 44,969,875
42,000,000 5.03%, 8/16/99 .............................. 41,730,057
22,000,000 4.90%, 9/15/99 .............................. 21,772,422
Principal
Amount Description Value
------ ----------- -----
Mellon Financial Co.,
$30,000,000 5.03%, 8/16/99 .............................. $29,807,183
MetLife Funding, Inc.,
52,772,000 4.86%, 7/06/99 .............................. 52,736,344
Motorola, Inc.,
20,000,000 5.20%, 8/05/99 .............................. 19,898,889
National Rural Utilities CFC:
22,000,000 4.84%, 7/16/99 .............................. 21,955,633
20,000,000 5.04%, 9/17/99 .............................. 19,781,600
Panasonic Finance, Inc.,
40,000,000 5.80%, 7/01/99 .............................. 40,000,000
Pfizer, Inc.:
15,349,000 5.80%, 7/01/99 .............................. 15,349,000
34,900,000 4.95%, 7/15/99 .............................. 34,832,818
40,500,000 4.98%, 7/19/99 .............................. 40,399,155
30,000,000 4.98%, 7/22/99 .............................. 29,912,850
Province of Quebec:
16,220,000 4.77%, 7/13/99 .............................. 16,194,210
15,305,000 4.80%, 7/15/99 .............................. 15,276,432
Quincy Capital Corp.:
14,035,000 4.87%, 7/06/99 .............................. 14,025,508
34,145,000 4.87%, 7/07/99 .............................. 34,117,287
35,000,000 4.86%, 7/13/99 .............................. 34,943,300
28,493,000 5.05%, 8/03/99 .............................. 28,361,100
25,000,000 5.05%, 8/13/99 .............................. 24,849,201
16,000,000 5.08%, 8/17/99 .............................. 15,893,884
Receivables Capital Corp.:
27,000,000 4.91%, 7/06/99 .............................. 26,981,588
10,000,000 5.34%, 7/06/99 .............................. 9,992,584
15,000,000 4.82%, 7/09/99 .............................. 14,983,933
45,654,000 4.87%, 7/14/99 .............................. 45,573,712
Repsol International Finance B.U.:
34,870,000 4.87%, 7/07/99 .............................. 34,841,830
25,000,000 4.87%, 7/15/99 .............................. 24,952,654
Rio Tinto America, Inc.,
30,000,000 5.04%, 8/16/99 .............................. 29,806,800
Riverwoods Funding Corp.,
25,000,000 4.84%, 7/09/99 .............................. 24,973,111
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Shell Oil Co.,
$17,000,000 4.97%, 7/15/99 .............................. $ 16,967,144
Union Bank of Switzerland,
100,000,000 5.75%, 7/01/99 .............................. 100,000,000
USAA Capital Corp.,
5,000,000 4.83%, 7/15/99 .............................. 4,990,608
Wachovia Bank:
8,000,000 4.93%, 2/07/00 .............................. 7,757,883
25,000,000 5.18%, 2/15/00 .............................. 24,176,236
Windmill Funding Corp.:
53,000,000 4.88%, 7/12/99 .............................. 52,920,583
27,000,000 4.93%, 7/13/99 .............................. 26,955,630
6,125,000 4.91%, 7/26/99 .............................. 6,104,115
25,000,000 4.93%, 8/02/99 .............................. 24,890,444
13,000,000 4.94%, 8/02/99 .............................. 12,942,916
13,450,000 4.94%, 8/06/99 .............................. 13,383,557
15,000,000 4.94%, 8/09/99 .............................. 14,919,725
--------------
Total Commercial Paper
(Amortized Cost $3,090,784,031) .......................... 3,090,784,031
--------------
Principal
Amount Description Value
------ ----------- -----
FUNDING AGREEMENTS - 2.2%
First Allmerica Financial
Life Insurance Co.:
Monthly Variable Rate,
$55,000,000 4.90%, 4/17/00(1)............................ $55,000,000
Transamerica Life:
Monthly Variable Rate,
35,000,000 4.951%, 6/13/00(1)........................... 35,000,000
Travelers Insurance Co.:
Monthly Variable Rate,
40,000,000 4.984%, 2/23/00(1) .......................... 40,000,000
30,000,000 4.97%, 4/03/00(1) ........................... 30,000,000
--------------
Total Funding Agreements
(Amortized Cost $160,000,000) ............................ 160,000,000
--------------
Total Investments
(Amortized Cost $7,123,970,430). ................. 99.7% 7,123,970,430
Other Assets in Excess of
Liabilities ...................................... 0.3% 22,449,437
----- --------------
Net Assets ......................................... 100.0% $7,146,419,867
===== ==============
- -----------
(1) Illiquid security.
18
<PAGE>
- --------------------------------------------------------------------------------
New York Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
NEW YORK - 95.6%
$ 3,300,000 Buffalo, New York, RAN, Series A, (LOC: Landesbank-Hessen-Thuringen),
3.75%, 7/27/99 .................................................................. $ 3,301,635
2,500,000 Great Neck North, New York Water Authority, Water System Revenue,
Series A, (FGIC Insured), Variable Rate Weekly Demand Note,
3.00%, 1/01/20 (a) .............................................................. 2,500,000
2,000,000 Long Island Power Authority, New York, Electrical System Revenue,
Series 5, (LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%),
Variable Rate Daily Demand Note, 3.40%, 5/01/33 (a) ............................. 2,000,000
1,000,000 Long Island Power Authority, New York, Electric System Revenue,
Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode),
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%),
3.10%, 7/19/99 .................................................................. 1,000,000
1,000,000 Long Island Power Authority, New York, Electric System Revenue,
Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode),
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%),
3.15%, 7/19/99 .................................................................. 1,000,000
1,500,000 Metropolitan Transportation Authority, New York, Series B, Tax
Exempt Commercial Paper, 3.05%, 8/02/99 ......................................... 1,500,000
1,000,000 Metropolitan Transportation Authority, New York, Series B, Tax Exempt
Commercial Paper, 3.15%, 9/07/99 ................................................ 1,000,000
1,000,000 Monroe County, New York, G.O., Series A, 4.60%, 6/01/00 ......................... 1,012,544
1,025,000 Monroe County, New York, G.O., Series B, 5.00%, 3/01/00 ......................... 1,039,037
950,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series E, 4.30%, 7/01/99 ........................................................ 950,000
1,000,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series G, 5.00%, 7/01/99 ........................................................ 1,000,000
1,950,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series J, 5.50%, 7/01/99 ........................................................ 1,950,000
1,000,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series M, 4.60%, 7/01/00 ........................................................ 1,007,292
3,000,000 Nassau County, New York, Industrial Development Agency, Civic
Facilities Revenue, Cold Spring Harbor, Variable Rate Daily Demand
Note, 3.35%, 1/01/34 (a) ........................................................ 3,000,000
1,055,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government
Securities, Series D, 5.00%, 2/15/00 ............................................ 1,065,270
1,000,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government
Securities, Series E, 5.00%, 2/15/00 ............................................ 1,010,396
1,070,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government
Securities, Series J, 4.85%, 2/15/00 ............................................ 1,081,672
1,500,000 New York City, New York, G.O., Series 1996A, 7.25%, 3/15/20,
(Escrowed in U.S. Government), Prerefunded 3/15/00 @ $101.50 .................... 1,564,261
500,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable
Rate Daily Demand Note, 4.00%, 10/01/22 (a) ..................................... 500,000
1,375,000 New York City, New York, Health & Hospital Corp., Series A, (LOC:
Morgan Guaranty Trust), Variable Rate Weekly Demand Note,
3.30%, 2/15/26 (a) .............................................................. 1,375,000
1,000,000 New York City, New York, Municipal Water Finance Authority, Water
and Sewer System Revenue, (LOC: Westdeutsche Landesbank), Tax
Exempt Commercial Paper, 3.60%, 7/07/99 ......................................... 1,000,000
2,000,000 New York City, New York, Municipal Water Finance Authority, Water
and Sewer System Revenue, (LOC: Westdeutsche Landesbank), Tax
Exempt Commercial Paper, 3.60%, 7/12/99 ......................................... 2,000,000
1,000,000 New York City, New York, Municipal Water Finance Authority, Water
and Sewer System Revenue, Series A, (FGIC Insured), Variable Rate
Daily Demand Note, 3.55%, 6/15/25 (a) ........................................... 1,000,000
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
New York Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
$ 600,000 New York City, New York, Sub Series A-4, (LOC: Chase Manhattan Bank),
Variable Rate Daily Demand Note, 3.50%, 8/01/21 (a) ............................. $ 600,000
500,000 New York City, New York, Sub Series A-4, (LOC: Chase Manhattan Bank),
Variable Rate Daily Demand Note, 3.35%, 8/01/23 (a) ............................. 500,000
1,000,000 New York City, New York, Sub Series A-5, (LOC: KBC Bank N.V.),
Variable Rate Daily Demand Note, 3.70%, 8/01/15 (a) ............................. 1,000,000
1,000,000 New York City, New York, Sub Series A-10, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.00%, 8/01/16 (a) ............................. 1,000,000
300,000 New York City, New York, Sub Series B-2, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.00%, 8/15/19 (a) ............................. 300,000
1,000,000 New York City, New York, Transitional Finance Authority Revenue,
Future Tax Secured Revenue Bond, Series A, 4.00%, 8/15/99 ....................... 1,000,887
1,000,000 New York City, New York, Transitional Finance Authority Revenue,
Future Tax Secured Revenue Bond, Series B, 4.00%, 11/15/99 ..................... 1,003,975
1,000,000 New York City, New York, Transitional Finance Authority Revenue,
Sub Series B-2, 2.90%, 11/01/26, Mandatory Put - 11/01/99 @ $100 ................ 1,000,000
3,000,000 New York City, New York, Trust for Cultural Research Revenue Bonds,
Museum of Broadcasting, (LOC: KBC Bank N.V.), Variable Rate Weekly
Demand Note, 3.25%, 5/01/14 (a) ................................................. 3,000,000
1,400,000 New York State Dormitory Authority, City University System,
Revenue Bond, 7.625%, 7/01/20, (Escrowed in U.S. Government),
Prerefunded 7/1/00 @ $102 ....................................................... 1,486,424
2,000,000 New York State Dormitory Authority, New York, Public Library,
Series A, Variable Rate Weekly Demand Note, 3.25%, 7/01/28 (a) ................. 2,000,000
1,000,000 New York State Dormitory Authority, New York, Public Library
Series B, Variable Rate Weekly Demand Note, 3.25%, 7/01/28 (a) .................. 1,000,000
1,000,000 New York State Dormitory Authority Revenue (Sloan Kettering),
Series B, (LOC: Chase Manhattan Bank), Variable Rate Weekly
Demand Note, 3.40%, 7/01/19 (a) ................................................. 1,000,000
2,000,000 New York State Dormitory Authority Revenue (Sloan Kettering),
Series B, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand
Note, 3.50%, 7/01/19 (a) ........................................................ 2,000,000
3,360,000 New York State Energy Research & Development Authority, Brooklyn
Union Gas, (MBIA Insured), Variable Rate Weekly Demand Note,
3.35%, 12/01/20 (a) ............................................................. 3,360,000
2,300,000 New York State Energy Research and Development Authority, P.C.R.,
New York State Electric and Gas, (LOC: First National Bank of
Chicago), Variable Rate Daily Demand Note, 3.45%, 10/01/29 (a) .................. 2,300,000
1,300,000 New York State Energy Research & Development Authority, P.C.R.,
Niagara Mohawk Power, Series A, (LOC: Toronto Dominion Bank),
Variable Rate Daily Demand Note, 3.50%, 7/01/15 (a) ............................. 1,300,000
2,850,000 New York State Energy Research & Development Authority, P.C.R.,
Orange/Rockland Utility, (AMBAC Insured), Variable Rate Weekly
Demand Note, 3.10%, 8/01/15 (a) ................................................. 2,850,000
100,000 New York State Environmental Facilities Corp., State Clean Water
and Drinking, Pooled Loan, Revenue Bond, 3.90%, 1/15/00 ......................... 100,370
3,000,000 New York State Housing Finance Agency, Contract Obligation Revenue,
Series A, (LOC: Commerzbank), Variable Rate Weekly Demand Note,
3.35%, 3/15/27 (a) .............................................................. 3,000,000
3,000,000 New York State Housing Finance Agency, Hospital Special Surgery
Staff, Series A, (LOC: Chase Manhattan Bank), Variable Rate Weekly
Demand Note, 3.20%, 11/01/10 (a) ................................................ 3,000,000
3,000,000 New York State Housing Finance Agency, Normandie Court I Project,
(LOC: Landesbank-Hessen-Thuringen), Variable Rate Weekly Demand
Note, 3.20%, 5/15/15 (a) ........................................................ 3,000,000
1,000,000 New York State Local Government Assistance Corp., Series A, (LOC:
Bayerische Landesbank 50%, Westdeutsche Landesbank 50%), Variable
Rate Weekly Demand Note, 3.25%, 4/01/22 (a) ..................................... 1,000,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
New York Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
$2,800,000 New York State Local Government Assistance Corp., Series G,
(LOC: Bank of Nova Scotia), Variable Rate Weekly Demand Note,
3.00%, 4/01/25 (a) .............................................................. $ 2,800,000
1,000,000 New York State Thruway Authority, General Revenue, (FGIC Insured),
Variable Rate Daily Demand Note, 3.40%, 1/01/24 (a) ............................. 1,000,000
1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond,
Series A 6.00%, 4/01/00 ......................................................... 1,021,426
1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond,
Series A, 4.75%, 4/01/00 (a) .................................................... 1,012,367
1,000,000 Syracuse, New York, I.D.A., Civic Facility Revenue, Multi-Modal
Syracuse University Project (LOC: Morgan Guaranty Trust), Variable
Rate Daily Demand Note, 3.40%, 3/01/23 (a) ...................................... 1,000,000
1,000,000 Westchester County, New York, G.O., 4.60%, 11/15/99 ............................. 1,006,859
1,690,000 Westchester County, New York, G.O., Series B, 5.75%, 9/15/99 .................... 1,700,152
700,000 Westchester County, New York, G.O., Series B, 4.00%, 11/15/99 ................... 702,680
-----------
Total New York (Amortized Cost $79,902,247) ................................................... 79,902,247
-----------
PUERTO RICO - 3.6%
1,000,000 Puerto Rico Commonwealth Highway and Transportation Authority,
Series A, (AMBAC Insured), Variable Rate Weekly Demand Note, 3.10%,
7/01/28 (a) ..................................................................... 1,000,000
2,000,000 Puerto Rico Housing Bank and Finance Agency, Special Obligation
Revenue Bond, Series H, (FSA Insured), 5.75%, 10/01/99 .......................... 2,012,499
-----------
Total Puerto Rico (Amortized Cost $3,012,499) ................................................. 3,012,499
-----------
Total Investments (Amortized Cost $82,914,746) ...................................... 99.2% 82,914,746
Other Assets in Excess of Liabilities ............................................... 0.8% 669,174
----- -----------
Net Assets .......................................................................... 100.0% $83,583,920
===== ===========
</TABLE>
- --------------
(a) Securities payable on demand, secured by Bank Letter of Credit on other bank
credit agreements. This interest rate, which will change periodically, is
based on bank prime rates or an index of money interest rates.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
P.C.R. - Pollution Control Revenue
RAN - Revenue Anticipation Note
TAN - Tax Anticipation Note
TRAN - Tax and Revenue Anticipation Note
21
<PAGE>
- --------------------------------------------------------------------------------
Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
ARIZONA - 0.4%
$ 500,000 Scottsdale, Arizona, G.O., Series A, 6.50%, 7/01/00 ............................. $ 513,118
-----------
CALIFORNIA - 3.3%
4,100,000 Los Angeles County, California, G.O. TRAN, 4.00%, 6/30/00 ....................... 4,126,876
-----------
COLORADO - 0.6%
805,000 Colorado Housing Finance Authority, Multifamily Housing, (Hunters Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 3.70%, 10/15/16 (a) .... 805,000
-----------
CONNECTICUT - 2.4%
3,000,000 Connecticut HEFA (Yale University), Variable Rate Demand Bonds,
(Tax Exempt Commercial Paper Mode), 3.40%, 7/01/99 ............................. 3,000,000
-----------
DELAWARE - 0.8%
1,000,000 Delaware State, G.O., Series B 5.00%, 5/01/00 ................................... 1,014,492
-----------
FLORIDA - 3.4%
2,285,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank),
Variable Rate Weekly Demand Note, 3.35%, 12/01/07 (a) .......................... 2,285,000
2,000,000 Florida State, Department of Environmental Protection,
Environmental Preservation 2000-B, (FSA Insured), 4.50%, 7/01/99 ............... 2,000,000
-----------
4,285,000
-----------
GEORGIA - 9.3%
1,000,000 Cobb County, Georgia, Housing Authority, (Post Mill Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 3.35%,
6/01/25 (a) .................................................................... 1,000,000
1,000,000 Georgia State, G.O.,
7.25%, 9/01/99 ................................................................. 1,006,011
1,000,000 Macon-Bibb County, Georgia, Hospital Authority Revenue, (Medical
Center of Central Georgia), (LOC: SunTrust Bank), Variable Rate
Weekly Demand Note, 3.75%, 12/01/18 (a) ........................................ 1,000,000
3,300,000 Municipal Electric Authority of Georgia, (LOC:
Landesbank-Hessen-Thuringen), Variable Rate Weekly Demand Notes,
3.35%, 6/01/20 (a) ............................................................. 3,300,000
5,300,000 Smyrna Housing Authority, Multifamily Housing, (F&M Villages Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 3.35%, 6/01/25 (a) ..... 5,300,000
-----------
11,606,011
-----------
ILLINOIS - 9.7%
1,000,000 Chicago, Illinois, G.O. Adjustable Tender Notes, (LOC: Morgan
Guaranty Trust), 2.85%, 10/28/99 ............................................... 1,000,000
4,100,000 Illinois Health Facilities Authority, (Northwestern Memorial Hospital),
Variable Rate Daily Demand Note, 3.45%, 8/15/25 ................................ 4,100,000
2,000,000 Illinois Health Facilities Authority, (Gottlieb Health
Resources, Inc.), (LOC: Harris Trust and Savings Bank), Variable
Rate Weekly Demand Note, 3.65%, 11/15/24 (a) ................................... 2,000,000
2,000,000 Illinois Health Facilities Authority, (Gottlieb Health
Resources, Inc.), (LOC: Harris Trust and Savings Bank), Variable
Rate Weekly Demand Note, 3.65%, 11/15/25 (a) ................................... 2,000,000
1,000,000 Illinois Health Facilities Authority, Series A, (Evanston
Hospital Corp. Project), 3.15%, 3/15/25, Mandatory Put - 8/02/99
@ $100 ......................................................................... 1,000,000
1,000,000 Illinois State, G.O., (MBIA Insured), 5.375%, 5/01/00 ........................... 1,017,466
1,000,000 Schaumburg, Illinois, Series A, Variable Rate Weekly Demand Note, 3.70%,
12/01/13 (a) ................................................................... 1,000,000
-----------
12,117,466
-----------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
INDIANA - 1.3%
$ 1,600,000 Purdue University, Student Fee Bonds, Series L, Variable Rate
Weekly Demand Note 3.50%, 7/01/20 (a) .......................................... $ 1,600,000
-----------
KANSAS - 0.8%
1,000,000 Kansas State, Department of Transportation Highway Revenue,
Revenue Bond, 4.60%, 3/01/00 ................................................... 1,009,169
-----------
KENTUCKY - 2.4%
3,000,000 Kentucky Asset/Liability Commission, Project Notes, Agency Funds
(LOC: Commerzbank), 3.15%, 8/09/99 ............................................. 3,000,000
-----------
MARYLAND - 4.0%
1,000,000 Maryland State, G.O., 6.70%, 7/15/99 ............................................ 1,001,156
2,000,000 Maryland State Health and Higher Educational Facilities
Authority, (Charity Obligated Group), Series F, Variable Rate
Weekly Demand Note, 3.35%, 11/01/17 (a) ........................................ 2,000,000
2,000,000 Maryland State Health and Higher Educational Facilities
Authority, University of Maryland Medical System, (LOC: First
National Bank of Chicago), Series F, Variable Rate Weekly Demand
Note, 3.65%, 7/01/24 ........................................................... 2,000,000
-----------
5,001,156
-----------
MASSACHUSETTS - 4.6%
4,000,000 Massachusetts Bay Transportation Authority, RAN, Series A, 3.50%, 2/25/00 ....... 4,008,257
1,800,000 Massachusetts State Water Pollution Abatement Trust, Revenue Bond, Pool Loan,
Series 4, 4.25%, 8/01/99 ....................................................... 1,801,621
-----------
5,809,878
-----------
MICHIGAN - 4.4%
1,000,000 Michigan State Building Authority, Series 2, (LOC: Canadian
Imperial Bank), Tax Exempt Commercial Paper, 3.15%, 8/05/99 .................... 1,000,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper
3.00%, 7/20/99 ................................................................. 1,000,000
500,000 University of Michigan, Series B, Tax Exempt Commercial Paper
3.40%, 7/20/99 ................................................................. 500,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper
3.15%, 8/18/99 ................................................................. 1,000,000
2,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper
3.25%, 8/24/99 ................................................................. 2,000,000
-----------
5,500,000
-----------
MINNESOTA - 2.4%
1,000,000 Minnesota State, G.O., 4.50%, 6/01/00 ........................................... 1,010,892
2,000,000 University of Minnesota, Series A, Variable Rate Weekly Demand Note,
3.50%, 1/01/34 (a) ............................................................. 2,000,000
-----------
3,010,892
-----------
MISSOURI - 0.7%
810,000 Missouri State, G.O., Water Pollution Control, Series A, 6.00%, 8/01/99 ......... 812,048
-----------
NEVADA - 2.4%
3,000,000 Las Vegas Valley Water District, Nevada, (LOC: Westdeutsche
Landesbank), Tax Exempt Commercial Paper, 3.20%, 8/09/99 ....................... 3,000,000
-----------
NEW HAMPSHIRE - 1.7%
2,100,000 New Hampshire State, I.D.A., (LOC: UBS AG), Variable Rate Monthly Demand Note,
3.30%, 7/01/13 (a) ............................................................. 2,100,000
-----------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
NEW JERSEY - 1.9%
$ 2,350,000 New Jersey State, G.O., Series D, 5.10%, 2/15/00 ................................ $ 2,377,442
-----------
NEW YORK - 15.4%
2,000,000 Buffalo, New York, RAN, Series A, (LOC:
Landesbank-Hessen-Thuringen), 3.75%, 7/27/99 ................................... 2,000,848
1,000,000 Long Island Power Authority, New York, Electric System Revenue,
Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode),
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%),
3.10%, 7/19/99 ................................................................. 1,000,000
3,000,000 Metropolitan Transportation Authority, New York, Tax Exempt
Commercial Paper 3.25%, 9/08/99 ................................................ 3,000,000
3,220,000 Municipal Assistance Corp. for New York City, New York, Series
L, Revenue Bond 5.00%, 7/01/99 ................................................. 3,220,000
100,000 New York, New York, Sub Series B-2, (LOC: Morgan Guaranty
Trust), Variable Rate Daily Demand Note, 4.00%, 8/15/21 (a) .................... 100,000
2,000,000 New York City, New York, Transitional Finance Authority Revenue,
Sub Series B-1, 2.90%, 11/01/27, Mandatory Put - 11/01/99 @ $100 ............... 2,000,000
600,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase
Manhattan Bank), Variable Rate Daily Demand Note, 3.50%, 8/01/21(a) ............ 600,000
2,000,000 New York City, New York, Municipal Water Finance Authority,
Water and Sewer System Revenue, (LOC: Westdeutsche Landesbank),
Tax Exempt Commercial Paper, 3.20%, 7/09/99 .................................... 2,000,000
800,000 New York City, New York, Municipal Water Finance Authority,
Water and Sewer System Revenue, Series A, (FGIC Insured),
Variable Rate Daily Demand Note, 3.55%, 6/15/25 (a) ............................ 800,000
2,505,000 New York State, Energy Research and Development Authority,
P.C.R., New York State Electric and Gas, (LOC: Morgan Guaranty
Trust), Variable Rate Daily Demand Note, 3.45%, 6/01/29 (a) .................... 2,505,000
2,000,000 New York State, Energy Research and Development Authority,
P.C.R., New York State Electric and Gas, (LOC: First National
Bank of Chicago), Variable Rate Daily Demand Note, 3.05%,
10/01/29 (a) ................................................................... 2,000,000
-----------
19,225,848
-----------
NORTH CAROLINA - 6.1%
4,000,000 Charlotte-Mecklenberg Hospital Authority, North Carolina, Health
Care System Revenue, Series D, Variable Rate Weekly Demand Note,
3.70%, 1/15/26 (a) ............................................................. 4,000,000
805,000 Forsyth County, North Carolina, G.O. 4.00%, 8/01/99 ............................. 805,540
800,000 North Carolina Medical Care Commission, Moses H. Cone Memorial
Hospital Project, Variable Rate Weekly Demand Note, 3.65%,
10/01/23 (a) ................................................................... 800,000
2,000,000 North Carolina State, G.O., Series A, 4.70%, 2/01/00 ............................ 2,018,145
-----------
7,623,685
-----------
OHIO - 1.0%
1,300,000 Ohio State, G.O., Natural Resource Capital Facilities, Series D
4.00%, 4/01/00 ................................................................. 1,306,630
-----------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
PENNSYLVANIA - 2.4%
$ 300,000 Delaware County, Pennsylvania, Industrial Development Authority,
P.C.R., Philadelphia Electric Company, (LOC: Toronto Dominion
Bank), Variable Rate Weekly Demand Note, 3.40%, 8/01/16 (a) .................... $ 300,000
500,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC:
Rabobank Nederland), Variable Rate Monthly Demand Note, 3.30%,
6/01/14 (a) .................................................................... 500,000
2,200,000 York County, Pennsylvania, Industrial Development Authority, P.C.R.,
Philadelphia Electric Company, (LOC: Toronto Dominion Bank),
Variable Rate Daily Demand Note 3.40%, 8/01/16 (a) ............................. 2,200,000
-----------
3,000,000
-----------
SOUTH CAROLINA - 3.1%
2,900,000 Rock Hill, South Carolina, Combined Utility System Revenue, Series B,
(AMBAC Insured),Variable Rate Weekly Demand Note, 3.30%, 1/01/23 (a) ........... 2,900,000
1,000,000 South Carolina State, G.O., Capital Improvement, Series A, 4.50%, 8/01/99 ....... 1,000,810
-----------
3,900,810
-----------
TENNESSEE - 2.8%
2,000,000 Tennessee School Bond Authority, Tax Exempt Commercial Paper,
3.35%, 8/12/99 ................................................................. 2,000,000
1,500,000 Tennessee School Bond Authority, Tax Exempt Commercial Paper,
3.50%, 8/12/99 ................................................................. 1,500,000
-----------
3,500,000
-----------
TEXAS - 9.4%
700,000 Harris County, Texas, Tax Exempt Commercial Paper, Series B
3.25%, 7/14/99 ................................................................. 700,000
2,000,000 Southwest Higher Education Authority Inc., Southern Methodist
University, Project B, (LOC: Landesbank-Hessen -Thuringen),
Variable Rate Weekly Demand Note, 3.55%, 10/01/29 (a) .......................... 2,000,000
565,000 Texas Small Business Industrial Development Corporation, Texas
Public Facilities Capital Access, (LOC: KBC Bank N.V.), Variable
Rate Weekly Demand Note, 3.55%, 7/01/26 (a) .................................... 565,000
4,000,000 Texas State, TRAN, 4.50%, 8/31/99 ............................................... 4,007,107
1,000,000 University of Texas, Texas, Tax Exempt Commercial Paper,
3.05%, 7/19/99 ................................................................. 1,000,000
2,000,000 University of Texas, Texas, Tax Exempt Commercial Paper,
3.10%, 8/17/99 ................................................................. 2,000,000
1,500,000 University of Texas, Texas, Tax Exempt Commercial Paper,
3.30%, 2/07/00 ................................................................. 1,500,000
-----------
11,772,107
-----------
VERMONT - 3.8%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto
Dominion Bank), Variable Rate Monthly Demand Note, 3.35%,
12/01/13 (a) ................................................................... 4,735,000
-----------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Tax Free Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
WASHINGTON - 0.8%
$ 1,000,000 Washington State, G.O., Series 1995C, 5.50%, 7/01/99 ............................ $ 1,000,000
------------
WISCONSIN - 1.2%
500,000 Milwaukee, Wisconsin, G.O., Series A, 5.00%, 2/01/00 ............................ 505,317
1,000,000 Wisconsin State, G.O., Series 1, 4.80%, 11/01/99 ................................ 1,005,545
------------
1,510,862
------------
Total Investments (Amortized Cost $128,263,490) ......................................... 102.5% 128,263,490
Other Liabilities in Excess of Other Assets ............................................. (2.5)% (3,168,986)
----- ------------
Net Assets .............................................................................. 100.0% $125,094,504
===== ============
</TABLE>
- ---------------
(a) Securities payable on demand, secured by bank Letters of Credit or other
bank credit agreements. This interest rate, which will change periodically,
is based on bank prime rates or an index of market interest rates.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
CSD - Central School District
FGIC - Financial Guaranty Insurance Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
P.C.R. - Pollution Control Revenue
RAN - Revenue Anticipation Note
TAN - Tax Anticipation Note
TRAN - Tax and Revenue Anticipation Note
UFSD - United Free School District
26
<PAGE>
- --------------------------------------------------------------------------------
Treasury Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
U.S. TREASURY NOTES/BONDS - 22.6%
$ 15,000,000 6.375%, 7/15/99 ................................................................ $ 15,008,967
169,000,000 6.875%, 8/31/99 ................................................................ 169,567,766
117,000,000 5.875%, 11/15/99 ............................................................... 117,440,803
24,000,000 7.75%, 1/31/00 ................................................................. 24,397,884
135,000,000 5.875%, 2/15/00 ................................................................ 135,641,096
89,000,000 7.125%, 2/29/00 ................................................................ 90,153,507
-----------
Total U.S. Treasury Notes/Bonds (Amortized Cost $552,210,032) ................................. 552,210,023
-----------
REPURCHASE AGREEMENTS - 76.8%
95,000,000 Tri-Party Repurchase Agreement with Banque Paribas, Dated
6/30/99, 4.90%, principal and interest in the amount of
$95,012,931 due 7/01/99, (Collateralized by U.S. Treasury Bond,
par value of $95,000,059, coupon rate of 8.125%, due 5/15/21,
value of $96,900,060) ........................................................ 95,000,000
95,000,000 Tri-Party Repurchase Agreement with Chase Manhattan, Dated
6/30/99, 4.70%, principal and interest in the amount of
$95,012,403 due 7/01/99, (Collateralized by U.S. Treasury Note,
par value of $96,780,000, coupon rate of 5.75%, due 6/30/01,
value of $96,900,978) ........................................................ 95,000,000
100,000,000 Tri-Party Repurchase Agreement with CIBC, Dated 6/30/99, 4.75%,
principal and interest in the amount of $100,013,194 due
7/01/99, (Collateralized by U.S. Treasury Bonds, par value of
$69,467,000, coupon rates of 7.50% to 9.875%, due from 11/15/15
to 11/15/16, value of $82,869,272; and U.S. Treasury Note, par
value of $18,651,000, coupon rate of 6.125%, due 8/15/07, value
of $19,135,000) .............................................................. 100,000,000
100,000,000 Tri-Party Repurchase Agreement with Credit Suisse First Boston,
Dated 4/07/99, 4.73%, principal and interest in the amount of
$101,182,500 due 7/06/99, (Collateralized by U.S. Treasury
Bills, par value of $108,012,000, coupon rates of 4.485% to
4.615%, due from 3/30/00 to 5/25/00, value of $103,481,211) .................. 100,000,000
100,000,000 Tri-Party Repurchase Agreement with Goldman Sachs, Dated
6/30/99, 4.80%, principal and interest in the amount of
$100,013,333 due 7/01/99, (Collateralized by U.S. Treasury Note,
par value of $100,000,097, coupon rate of 5.25%, due 5/14/04,
value of $102,000,099) ....................................................... 100,000,000
100,000,000 Tri-Party Repurchase Agreement with Greenwich Capital, Dated
6/30/99, 4.85%, principal and interest in the amount of
$100,013,472 due 7/01/99, (Collateralized by U.S. Treasury
Bonds, par value of $28,191,000, coupon rates of 5.25% to
14.25%, due from 2/15/02 to 2/15/29, value of $32,991,763; and
U.S. Treasury Notes, par value of $67,618,000, coupon rates of
4.25% to 8.00%, due from 7/15/99 to 2/15/08, value of
$69,009,842) ................................................................. 100,000,000
95,000,000 Tri-Party Repurchase Agreement with JP Morgan, Inc., Dated
6/30/99, 4.70%, principal and interest in the amount of
$95,012,403 due 7/01/99, (Collateralized by U.S. Treasury Notes,
par value of $95,000,383, coupon rates of 4.50% to 6.50%, due
from 1/31/01 to 5/31/01, value of $96,900,390) ............................... 95,000,000
100,000,000 Tri-Party Repurchase Agreement with Merrill Lynch, & Co., Dated
6/30/99, 4.70%, principal and interest in the amount of
$100,013,056 due 7/01/99, (Collateralized by U.S. Treasury Bond,
par value of $35,064,000, coupon rate of 13.25%, due 5/15/14,
value of $53,450,600; and U.S. Treasury Notes, par value of
$47,456,000, coupon rate of 6.25% to 7.75%, due from 5/31/00 to
2/15/01, value of $48,552,320) ............................................... 100,000,000
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Treasury Money Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C> <C>
$200,000,000 Tri-Party Repurchase Agreement with Merrill Lynch, Dated 4/07/99,
4.74%, principal and interest in the amount of $200,026,333 due
7/27/99, (Collateralized by U.S. Treasury Bonds, par value of
$37,834,000, coupon rates of 10.375% to 13.25%, due from
11/15/12 to 5/15/14, value of $48,857,045; U.S. Treasury Notes,
par value of $141,030,000, coupon rates of 5.375% to 6.50%, due
from 8/15/99 to 5/15/08, value of $142,386,590; and U.S.
Treasury Strips, par value of $36,484,000, coupon rate of
9.875%, due 11/15/15, value of $12,759,185) .................................. $200,000,000
18,555,034 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter ,
Dated 6/30/99, 2.90%, principal and interest in the amount of
$18,556,529 due 7/01/99, (Collateralized by U.S. Treasury Notes,
par value of $20,132,089, coupon rates of 4.625% to 6.50%, due
from 11/30/00 to 10/15/06, value of $20,534,522; and U.S.
Treasury Bonds, par value of $524,758, coupon rates of 9.00% to
10.625%, due from 8/15/15 to 11/15/18, value of $535,461) .................... 18,555,034
178,123,830 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter,
Dated 6/30/99, 4.75%, principal and interest in the amount of
$178,147,332 due 7/01/99, (Collateralized by U.S. Treasury
Notes, par value of $173,074,138, coupon rates of 4.625% to
6.50%, due from 11/30/00 to 10/15/06, value of $176,533,829; and
U.S. Treasury Bonds, par value of $4,511,306, coupon rates of
9.00% to 10.625%, due from 8/15/15 to 11/15/18, value of
$4,603,323) .................................................................. 178,123,830
95,000,000 Tri-Party Repurchase Agreement with Salomon Smith Barney, Dated
6/30/99, 4.85%, principal and interest in the amount of
$95,012,799 due 7/01/99, (Collateralized by U.S. Treasury Notes,
par value of $94,586,000, coupon rates of 5.875% to 6.375%, due
from 7/31/99 to 2/15/07, value of $96,942,595) ............................... 95,000,000
100,000,000 Tri-Party Repurchase Agreement with Swiss Bank, Dated 6/30/99,
4.75%, principal and interest in the amount of $100,013,194 due
7/01/99, (Collateralized by U.S. Treasury Strips, par value of
$234,783,000, coupon rates of 8.875% to 10.00%, due from 5/15/11
to 1/15/17, value of $102,000,668) ........................................... 100,000,000
200,000,000 Tri-Party Repurchase Agreement with Swiss Bank, Dated 6/30/99,
4.80%, principal and interest in the amount of $200,026,667 due
7/01/99, (Collateralized by U.S. Treasury Strips, par value of
$86,000,000, coupon rate of 11.75%, due 11/15/14, value of
$44,599,599; U.S. Treasury Strips, par value of $425,202,000,
coupon rates of 8.80% to 10.00%, due 8/15/10 to 8/15/17, value
of $159,402,267) ............................................................. 200,000,000
300,000,000 Open Tri-Party Repurchase Agreement with Westdeutsche
Landesbank, Dated 2/01/99, 4.77%, Daily Variable Rate, principal
amount of $300,000,000, interest amount varies dependent on
rate, due 12/31/99, (Collateralized by U.S. Treasury Notes, par
value of $186,840,392, coupon rate of 5.50% to 7.50%, due from
7/15/99 to 4/30/03, value of $190,577,200; and U.S. Treasury
Bonds, par value of $113,162,765, coupon rates of 6.125% to
12.00%, due from 2/15/01 to 11/15/27, value of $115,426,020) ................. 300,000,000
--------------
Total Repurchase Agreements (Amortized Cost $1,876,678,864) ................................... 1,876,678,864
--------------
Total Investments
(Amortized Cost $2,428,888,896) ......................................................... 99.4% 2,428,888,887
Other Assets in Excess of Liabilities ................................................... 0.6% 14,288,915
----- --------------
Net Assets .............................................................................. 100.0% $2,443,177,802
===== ==============
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
Statements of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
-------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Investment Income
Interest .............................. $ 166,249,559 $ 1,314,462 $ 2,412,077 $ 53,111,532
------------- ------------- ------------- -------------
Expenses
Advisory Fees ......................... 5,013,875 65,575 115,467 1,662,515
Administration and Services Fees ...... 1,671,292 21,858 38,489 554,172
Professional Fees ..................... 13,334 11,874 9,422 15,505
Trustees Fees ......................... 1,935 1,832 2,152 2,250
Miscellaneous ......................... 796 623 806 29,690
------------- ------------- ------------- -------------
Total Expenses ........................ 6,701,232 101,762 166,336 2,264,132
Less: Fees Waived by Bankers Trust .... (684,734) (14,171) (12,380) (47,278)
------------- ------------- ------------- -------------
Net Expenses ....................... 6,016,498 87,591 153,956 2,216,854
------------- ------------- ------------- -------------
Net Investment Income .................... 160,233,061 1,226,871 2,258,121 50,894,678
Net Realized Gain (Loss) from
Investment Transactions ............... 325,021 -- (4,748) 19,026
------------- ------------- ------------- -------------
Net Increase in Net Assets from Operations $ 160,558,082 $ 1,226,871 $ 2,253,373 $ 50,913,704
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
------------------------------------ ------------------------------------
For the For the
six months For the six months For the
ended year ended ended year ended
June 30, 1999(1) Dec. 31, 1998 June 30, 1999(1) Dec. 31, 1998
--------------- -------------- ----------------- -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ................. $ 160,233,061 $ 286,987,238 $ 1,226,871 $ 2,720,676
Net Realized Gain (Loss)
from Investment Transactions ....... 325,021 320,470 -- (472)
---------------- ---------------- ------------- -------------
Net Increase in Net Assets from
Resulting Operations .................. 160,558,082 287,307,708 1,226,871 2,720,204
---------------- ---------------- ------------- -------------
Capital Transactions
Proceeds from Capital Invested ........ 20,588,149,400 85,829,057,272 131,517,561 445,882,258
Value of Capital Withdrawn ............ (19,066,540,604) (84,691,836,966) (127,214,810) (456,159,159)
---------------- ---------------- ------------- -------------
Net Increase (Decrease) in Net Assets from
Capital Transactions .................. 1,521,608,796 1,137,220,306 4,302,751 (10,276,901)
---------------- ---------------- ------------- -------------
Total Increase (Decrease) in Net Assets .. 1,682,166,878 1,424,528,013 5,529,622 (7,556,697)
Net Assets
Beginning of Period ...................... 5,464,252,989 4,039,724,975 78,054,298 85,610,995
---------------- ---------------- ------------- -------------
End of Period ............................ $ 7,146,419,867 $ 5,464,252,989 $ 83,583,920 $ 78,054,298
================ ================ ============= =============
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money Treasury Money
------------------------------------ ---------------------------------
For the For the
six months For the six months For the
ended year ended ended year ended
June 30, 1999(1) Dec. 31, 1998 June 30, 1999(1) Dec. 31, 1998
--------------- ------------- ---------------- -------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ................. $ 2,258,121 $ 5,433,301 $ 50,894,678 $ 127,099,237
Net Realized Gain (Loss)
from Investment Transactions ........ (4,748) 2,973 19,026 236,294
------------- --------------- --------------- ----------------
Net Increase in Net Assets from Operations 2,253,373 5,436,274 50,913,704 127,335,531
------------- --------------- --------------- ----------------
Capital Transactions
Proceeds from Capital Invested ........ 254,142,046 1,183,260,739 5,226,674,257 23,769,168,473
Value of Capital Withdrawn ............ (332,902,159) (1,137,974,531) (4,873,056,588) (23,977,157,512)
------------- --------------- --------------- ----------------
Net Increase (Decrease) in Net Assets from
Capital Transactions .................. (78,760,113) 45,286,208 353,617,669 (207,989,039)
------------- --------------- --------------- ----------------
Total Increase (Decrease) in Net Assets .. (76,506,740) 50,722,482 404,531,373 (80,653,508)
Net Assets
Beginning of Period ...................... 201,601,244 150,878,762 2,038,646,429 2,119,299,937
------------- --------------- --------------- ----------------
End of Period ............................ $ 125,094,504 $ 201,601,244 $ 2,443,177,802 $ 2,038,646,429
============= =============== =============== ================
</TABLE>
- ----------------
(1) Unaudited.
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the years
indicated for each of the Portfolios.
<TABLE>
<CAPTION>
Cash Management
For the -------------------------------------------------------------
six months For the years ended December 31,
ended June 30, -------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
------------ ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $7,146,420 $5,464,253 $4,039,725 $3,261,910 $2,615,932 $2,735,025
Ratios to Average Net Assets:
Net Investment Income .................... 4.80%(3) 5.37% 5.43% 5.27% 5.77% 4.24%
Expenses ................................. 0.18%(3) 0.18% 0.18% 0.18% 0.18% 0.18%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust .... 0.02%(3) 0.02% 0.02% 0.02% 0.02% 0.02%
</TABLE>
<TABLE>
<CAPTION>
NY Tax Free Money
For the -------------------------------------------------------------
six months For the years ended December 31,
ended June 30, -------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
-------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $83,584 $ 78,054 $85,611 $76,033 $70,933 $79,334
Ratios to Average Net Assets:
Net Investment Income .................... 2.83%(3) 3.17% 3.37% 3.18% 3.62% 2.60%
Expenses ................................. 0.20%(3) 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust .... 0.02%(3) 0.05% 0.03% 0.05% 0.04% 0.03%
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money
For the ----------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ----------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ... $125,095 $201,601 $150,879 $117,714 $119,703 $110,408
Ratios to Average Net Assets:
Net Investment Income ................... 2.94%(3) 3.26% 3.45% 3.34% 3.82% 2.76%
Expenses ................................ 0.20%(3) 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust ... 0.02%(3) 0.04% 0.02% 0.04% 0.03% 0.03%
Treasury Money
For the ----------------------------------------------------------------
six months For the years ended December 31,
ended June 30, ----------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .... $2,443,178 $2,038,646 $2,119,300 $1,979,713 $1,941,082 $882,775
Ratios to Average Net Assets:
Net Investment Income .................... 4.59%(3) 5.23% 5.29% 5.14% 5.58% 3.93%
Expenses ................................. 0.20%(3) 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust .... 0.00%(2,3) 0.00%(2) 0.00%(2) 0.00%(2) 0.01% 0.01%
</TABLE>
- ----------------
(1) Unaudited.
(2) Less than 0.01%.
(3) Annualized.
See Notes to Financial Statements.
31
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1 -- Organization and Significant Accounting Policies
A. Organization
Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio
and Treasury Money Portfolio (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. The portfolios
were organized as an unincorporated trust under the laws of New York and began
operations as follows:
Organization Commencement
Portfolio Date of Operations
- --------- ------------- ---------------
Cash Management March 26, 1990 July 23, 1990
NY Tax Free Money March 26, 1990 February 19, 1991
Tax Free Money March 26, 1990 February 19, 1991
Treasury Money March 26, 1990 July 23, 1990
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
shares of beneficial interest in the Portfolios.
B. Security Valuation
Investments are valued at amortized cost, which is in accordance with Rule 2a-7
of the Investment Company Act of 1940 and represents the fair value of each
Portfolio's investments.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the respective Portfolios at the time of such determination.
D. Repurchase Agreements
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisor,
subject to the seller's agreement to repurchase such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with the Portfolios' custodian, and, pursuant to the terms of the
repurchase agreement, must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the Portfolios maintain the
right to sell the underlying securities at market value and may claim any
resulting loss against the seller. However, in the event of
default or bankruptcy by the seller, realization and/or retention of the
collateral may be subject to legal proceedings.
The Fund may enter into tri-party repurchase agreements with broker-dealers, and
domestic banks. A repurchase agreement is a short-term investment in which the
Fund buys a debt security that the broker agrees to purchase at a set time and
price. The third party, which is the brokers custodial bank, holds the
collateral in a separate account until the repurchase agreement matures. The
agreement ensures that the collateral's market value, including any accrued
interest, is sufficient if the broker defaults.
E. Federal Income Taxes
Each Portfolio is considered to be a partnership under the Internal Revenue
Code. Therefore, no federal income tax provision is required on the Portfolios.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2 -- Fees and Transactions with Affiliates
Each Portfolio has entered in an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and the aggregate fees
and the amounts payable for each of the respective Portfolios at June 30, 1999:
Annual Amount
Portfolio Rate Fees Payable
- -------- -------- ----- ----------
Cash Management .05% $1,671,292 $307,296
NY Tax Free Money .05% 21,858 3,835
Tax Free Money .05% 38,489 5,731
Treasury Money .05% 554,172 93,703
Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolio's average
daily net assets. The following provides a table of annual rates and aggregate
fees and the amounts payable for each of the respective Portfolios at June 30,
1999:
Annual Amount
Portfolio Rate Fees Payable
- -------- -------- ----- ----------
Cash Management .15% $5,013,875 $921,887
NY Tax Free Money .15% 65,575 11,505
Tax Free Money .15% 115,467 17,194
Treasury Money .15% 1,662,515 281,109
32
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Portfolio, to the extent necessary, to limit all expenses based
upon an annual rate of the average daily net assets of the Portfolio. At June
30, 1999, the annual rates for the period ended for the respective Portfolios
were as follows:
Fund Annual Rate
- ---- -----------
Cash Management .18%
NY Tax Free Money .20%
Tax Free Money .20%
Treasury Money .20%
The Portfolios are participants with other affiliated entities in a revolving
credit facility in the amount $100,000,000, which expires April 29, 2000. A
commitment fee of .10% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
In 1994, the Cash Management Portfolio sold certain structured notes carried at
par to an unrelated third party financial institution at par plus accrued
interest pursuant to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Portfolio's Financial Highlights for the year
ended December 31, 1994 reflect the Portfolio's realized loss on the sale of
these securities and a capital contribution in the amount of $18,718,663. In
1996, Bankers Trust contributed capital in the amount of $1,113,488 to reimburse
the Cash Management Portfolio for capital losses in prior years.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Note 3 -- Purchases of Investment Securities
At June 30, 1999, amounts payable for securities purchased in the Portfolios
were as follows:
Portfolio Amount Payable
-------- ---------------
NY Tax Free Money $1,600,000
Tax Free Money 4,126,987
Note 4 -- Net Assets
At June 30, 1999, net assets consisted of:
<TABLE>
<CAPTION>
Cash Management New York Tax Free Money Tax Free Money Treasury Money
Portfolio Portfolio Portfolio Portfolio
----------------- ----------------------- ---------------- --------------
<S> <C> <C> <C> <C>
Paid-in Capital $7,146,419,867 $83,583,920 $125,094,504 $2,443,177,802
</TABLE>
33
<PAGE>
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<PAGE>
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<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
Cash Management Fund CUSIP#s: 055922108
Treasury Money Fund 055922405
NY Tax Free Money Fund 055922207
Tax Free Money Fund 055922306
BT Investment Funds COMBMONSA (6/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
